Search Results - subject:"Model Specification"

Specification testing for nonlinear multivariate cointegrating regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - In: Journal of econometrics 200 (2017) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011897704

Impact of Model Specification Decisions on Unit Root Tests

In: International Econometric Review (IER) 3 (2011) 2, pp. 22-33

Performance of unit root tests depends on several specification decisions prior to their application, e.g., whether or not to include a deterministic trend. Since there is no standard procedure for making such decisions; therefore, the practitioners routinely make several arbitrary specification...

Persistent link: https://www.econbiz.de/10012610938

The Phantom Menace of Omitted Variables – A Comment

Ritter, Nolan; Vance, Colin - 2011

This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke's assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...

Persistent link: https://www.econbiz.de/10010287429

About the impact of model risk on capital reserves: A quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...

Persistent link: https://www.econbiz.de/10010288998

Incomplete model specification in a multi-pollutants setting : the case of climate change and acidification

Legras, Sophie - Département Sciences Sociales, Agriculture et … - 2011

This paper analyses the consequences of incomplete environmental model specification on policy design in a multi … setting for various cases of incomplete model specification. Both cases of lax and stringent regulation, compared to what is … horizon of policy design matters in assessing the impact of incomplete model specification. …

Persistent link: https://www.econbiz.de/10010780342

Impact of Model Specification Decisions on Unit Root Tests

Atiq-ur-Rehman - In: International Econometric Review (IER) 3 (2011) 2, pp. 22-33

Persistent link: https://www.econbiz.de/10009320841

About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis.

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2011

Persistent link: https://www.econbiz.de/10008870987

Practical Proposals for Specifying k-Nearest Neighbours Weights Matrices

Gerkman, Linda; Ahlgren, Niklas - Hanken Svenska Handelshögskolan - 2011

In this article we introduce and evaluate testing procedures for specifying the number k of nearest neighbours in the weights matrix of spatial econometric models. The spatial J-test is used for specification search. Two testing procedures are suggested: an increasing neighbours testing...

Persistent link: https://www.econbiz.de/10009151166

Auxiliary theories as translation mechanisms for measurement model specification

Sajtos, Laszlo; Magyar, Bertalan - In: Journal of business research : JBR 69 (2016) 8, pp. 3186-3191

Persistent link: https://www.econbiz.de/10011507975

Overreaction in ChiNext IPOs' initial returns : how much and what caused it?

Deng, Qi; Zhou, Zhong-guo - In: Emerging markets review 29 (2016), pp. 82-103

Persistent link: https://www.econbiz.de/10011671013